Objective
The research in this proposal will contribute to our knowledge of the dynamics and effects of inflation through the perspective of risk-adjusted inflation and valuation formulas. The goal is to provide new perspectives on inflation and its impact on
resource constraints.
The first step in this work is to collect new data on inflation options and use them to construct marginal densities for risk-neutral inflation at different horizons. Because there are data for both cumulative and annual inflation, I propose a new non-parametric estimator of the joint distribution of inflation. This provides a new take on inflation dynamics and the anchoring of inflation expectations.
The second step is to use these densities as discount factors to price nominal claims. Applying these to the assets and liabilities of a central bank gives a measure of the fiscal capacity of the central bank and the impact of a higher inflation target.
The third step combines the densities for inflation with nominal interest rates to gauge how much society dislikes inflation. The risk-neutral densities give inflation strips that reveal how much markets would be willing to pay to eliminate inflation risk.
The fourth step is to design inflation-indexed bonds that allow countries to self-insure in a currency union. Understanding how the value and payments of these bonds changes with different measure of inflation, a country can insure itself against some of the shocks that affect its real exchange rate.
The fifth step is to design new liabilities of the central bank that allow for a better control of inflation. By issuing inflation-indexed reverses and maintaining the commitment to redeem them one-to-one for currency at all date, the central bank can control inflation.
All together, these different projects aim to deepen our understanding of inflation, by focusing on modeling risk-adjusted inflation, to answer old questions and suggest new approaches in monetary economics.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- social sciences economics and business economics macroeconomics
- humanities history and archaeology history
- social sciences sociology governance crisis management
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
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H2020-EU.1.1. - EXCELLENT SCIENCE - European Research Council (ERC)
MAIN PROGRAMME
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Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
ERC-COG - Consolidator Grant
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Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
(opens in new window) ERC-2015-CoG
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Net EU financial contribution. The sum of money that the participant receives, deducted by the EU contribution to its linked third party. It considers the distribution of the EU financial contribution between direct beneficiaries of the project and other types of participants, like third-party participants.
WC2A 2AE London
United Kingdom
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.